Once France is out, I use my two cruiser fleets (heretofore idle), one air unit, and an army to take Denmark. Meanwhile, start moving units next to ports for transport. Once Denmark falls, use the fleets and an air unit or two to soften up Norway, then land a coupla armies, an armor unit and definitely an HQ.
It works out well because once Norway goes, you can turn around and try for Sweden next, although it's much tougher.